AVG is not a firewall program, it's an anti-virus program.
Second: You cannot have two anti-virus programs running at the same time.
Third: The message from Norton means you do not have their firewall, disregard it.
Fourth: Download Zone Lab's free firewall - ZoneAlarm
Fifth: If you are using XP SP2, disable the XP firewall.
Summary: You can only run one anti-virus and one firewall at a time. You can, however, use a third-party virus scanner. I recommend EWIDO, but the majors will do.
and life goes on...
This may sound like a dumb question (and it probably is)...but I wonder if it is posible to combine a free AVG firewall with an already paid for Norton anti virus program. I keep getting a notification that I do not have firewall protection.....could I download free AVG (or other) firewall although I have Norton, but without firewall??